一共有89个期权定价模型,囊括了绝大多数期权定价模型(非全部)
> Vanilla Options
| European | Black-Scholes(Basic) |
……
> Exotic Options
| Singer Barrier Striking a barrier either starts the option or ends it | Monte Carlo Simulation (Continuous Sampling) |
……
> IR / FX / Currency Derivatives
| Caplets & Floorlets | Black |
……
> Fixed Income / Bond Derivatives
Bond Schaefer & Schwartz
……
> Credit Derivatives
| CDS Spread | Credit Grades (TM) |
> Trading Strategies
| Currency Hedging with Futures | Hedge existing currency position |
……
> Value at Risk
| Value at Risk | Delta-Gamma Approach (1 asset) |
……
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